Dai, J.G.; Miyazawa, Masakiyo; Wu, Jian - In: Stochastic Processes and their Applications 125 (2015) 5, pp. 1799-1820
We focus on the stationary distribution of a multidimensional semimartingale reflecting Brownian motion (SRBM) on a … nonnegative orthant. Assuming that the stationary distribution exists and is decomposable—equal to the product of two marginal … stationary distribution of a high dimensional SRBM can be computed through those of lower dimensional SRBMs. Next, we derive …